JANUARY EFFECT ON LQ45 INDEX OF STOCK COMPANY IN INDONESIAN STOCK EXCHANGEDURING 2016 – 2019

ABSTRACT: The January effect is a form of calendar anomaly in the year or commonly called the month of the year effect. January effect is important for investors to know to be able to determine investment decisions. The purpose of this study is to analyze the presence or absence of the January effect phenomenon that occurs in the LQ45 index stock in the Indonesia Stock Exchange during the 2016 to 2019 period. This study uses a causality design method that aims to analyze the relationship between research variables in order to conform to the formulated hypothesis. The data used in the form of closing stock prices of listed companies every month during the study period. The source of this research uses secondary data obtained from the LQ45 index which is accessed through the Yahoo Finance website. This study includes all companies listed in the LQ45 index on the Indonesia Stock Exchange for three consecutive years with a total sample of 32 companies. The sampling of the research was carried out by non-probability sampling, specifically by using a purposive sampling approach. The data analysis method used is descriptive statistical analysis and inferential statistics. Inferential analysis in this study uses parametric statistical tests, namely the Pair-Sample T-Test. The results show that the January effect phenomenon does occur in the study period and the abnormal return of stocks in January is significantly different from months other than January. The findings prove that stockholders sell their shares which are considered less than good at the end of the year and buy back the shares in January.

Keywords: January Effect, Abnormal Return, Market Anomalies.